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8-K - FORM 8-K - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP | f8k_122314.htm |
EXHIBIT 99.1
Grant Park Fund Weekly Commentary
For the Week Ended December 19, 2014
Current Month
|
Rolling Performance*
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Rolling Risk Metrics* (January 2010 – December 2014)
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Class
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Week
ROR |
MTD
ROR
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YTD
ROR
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1 yr
Ann
ROR
|
3 yr
Ann
ROR
|
5 yr
Ann
ROR
|
10 yr
Ann
ROR
|
Annualized
ROR
|
Annualized
Standard Deviation |
Maximum
Drawdown
|
Sharpe
Ratio
|
Sortino
Ratio |
|||
A
|
0.9%
|
-0.2%
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5.8%
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5.8%
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-1.5%
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-2.8%
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1.1%
|
-2.8%
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10.4%
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-28.6%
|
-0.2
|
-0.4
|
|||
B**
|
0.9%
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-0.2%
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5.2%
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5.2%
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-2.1%
|
-3.4%
|
0.4%
|
-3.4%
|
10.4%
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-29.9%
|
-0.3
|
-0.4
|
|||
Legacy 1***
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0.9%
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-0.1%
|
7.7%
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7.7%
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0.5%
|
-0.8%
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N/A
|
-0.8%
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10.3%
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-23.7%
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0.0
|
-0.1
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|||
Legacy 2***
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0.9%
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-0.2%
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7.6%
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7.6%
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0.3%
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-1.1%
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N/A
|
-1.1%
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10.3%
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-24.4%
|
-0.1
|
-0.1
|
|||
Global 1***
|
1.0%
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-0.1%
|
8.3%
|
8.3%
|
1.2%
|
-1.1%
|
N/A
|
-1.1%
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9.8%
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-21.9%
|
-0.1
|
-0.2
|
|||
Global 2***
|
1.0%
|
-0.1%
|
8.1%
|
8.1%
|
0.9%
|
-1.4%
|
N/A
|
-1.4%
|
9.8%
|
-22.4%
|
-0.1
|
-0.2
|
|||
Global 3***
|
0.9%
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-0.2%
|
6.6%
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6.6%
|
-0.7%
|
-3.0%
|
N/A
|
-3.0%
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9.8%
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-26.2%
|
-0.3
|
-0.4
|
|||
S&P 500 Total
Return Index**** |
3.4%
|
0.3%
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14.3%
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14.3%
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20.6%
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15.6%
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7.7%
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15.6%
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13.0%
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-16.3%
|
1.2
|
2.0
|
|||
Barclays Capital
U.S. Long Gov Index**** |
-0.3%
|
2.3%
|
24.1%
|
24.1%
|
4.1%
|
9.8%
|
7.4%
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9.8%
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11.1%
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-15.5%
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0.9
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1.7
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|||
*
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Performance metrics are calculated using month-to-date performance estimates. All performance data is subject to verification.
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**
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Units began trading in August 2003.
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***
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Units began trading in April 2009.
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****
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Index is unmanaged & is not available for direct investment. Please see Indices Overview (below) for more information. Weekly RORs are calculated
using data acquired through Bloomberg. |
Portfolio Positions by Sectors and Markets (Two largest positions within each sector)
Portfolio for A, B and Legacy units
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Portfolio for Global units
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Sector
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Sector
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Market
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Sector
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Market
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||||||||
Exposure
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Position
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Contract
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Exposure
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Position
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Exposure
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Position
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Contract
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Exposure
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Position
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|||
COMMODITIES
|
28%
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28%
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||||||||||
Energy
|
9%
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Short
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Heating Oil
|
2.1%
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Short
|
9%
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Short
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Heating Oil
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2.1%
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Short
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||
Brent Crude Oil
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2.1%
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Short
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Brent Crude Oil
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2.1%
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Short
|
|||||||
Grains/Foods
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11%
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Short
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Sugar
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1.9%
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Short
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11%
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Short
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Sugar
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1.9%
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Short
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||
Soybeans
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1.5%
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Long
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Soybeans
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1.5%
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Long
|
|||||||
Metals
|
8%
|
Short
|
Gold
|
2.5%
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Short
|
8%
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Short
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Gold
|
2.5%
|
Short
|
||
Copper
|
1.2%
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Short
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Copper
|
1.2%
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Short
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|||||||
FINANCIALS
|
72%
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72%
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||||||||||
Currencies
|
23%
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Long $
|
Euro
|
6.1%
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Short
|
23%
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Long $
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Euro
|
6.1%
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Short
|
||
Japanese Yen
|
4.0%
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Short
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Japanese Yen
|
4.0%
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Short
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|||||||
Equities
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20%
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Long
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S&P 500
|
5.9%
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Long
|
20%
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Long
|
S&P 500
|
5.9%
|
Long
|
||
Nasdaq
|
2.5%
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Long
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Nasdaq
|
2.5%
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Long
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|||||||
Fixed Income
|
29%
|
Long
|
U.S. 10-Year
Treasury Notes |
3.9%
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Long
|
29%
|
Long
|
U.S. 10-Year
Treasury Notes |
3.9%
|
Long
|
||
U.S. Treasury
Bonds |
3.8%
|
Long
|
U.S. Treasury
Bonds |
3.8%
|
Long
|
Market Commentary (Largest price movements within each sector)
Sector/Market
|
|
Energy
|
Natural gas markets declined nearly 9% due to elevated domestic supplies and forecasts for above-average temperatures. Crude oil markets fell to a 5-year low as global production continued to outpace demand.
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Grains/Foods
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Wheat markets rallied higher after Russia announced it would decrease exports. Corn markets also finished higher, supported by forecasts of strong Chinese demand. Soybean markets declined following weaker-than-expected export data.
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Metals
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Gold prices declined ahead of last week’s FOMC meeting. Gold markets were also pressured by strength in the U.S. dollar. Copper markets also fell, driven lower by a decline in Chinese new home prices, which added to concerns about slowing Chinese growth.
|
Currencies
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The U.S. dollar rallied sharply against major currencies as investors believed the U.S. Federal Reserve will raise interest rates sooner than its global counterparts. The Swiss franc weakened sharply after the Swiss National Bank announced that it planned to lower overnight interest rates to -0.25%. The Australian dollar fell to a 4-year low versus the U.S. dollar due to steep declines in commodity prices.
|
Equities
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Global equity market surged after the U.S. Federal Reserve said it would be patient on raising interest rates. Share markets were also driven higher by weakness in the energy markets and bullish economic data in the U.S.
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Fixed Income
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U.S. Treasury markets moved lower as strength in global equities put pressure on demand for safe-haven assets. Fixed-income prices were also driven lower by the announcement from the Federal Reserve. German Bund markets rose due to risk-aversion fostered by weak Eurozone data and concerns regarding the ailing Russian economy.
|
ALL PERFORMANCE REPORTED IS NET OF FEES AND EXPENSES. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES A HIGH DEGREE OF RISK AND IS NOT SUITABLE FOR ALL INVESTORS. FUTURES TRADING INVOLVES A HIGH DEGREE OF RISK, INCLUDING LIQUIDITY RISKS, NO SECONDARY MARKET EXISTS, RESTRICTIONS ON REDEMPTIONS, AND THE RISK OF FOREIGN SECURITIES. THIS DOES NOT CONSTITUTE AN OFFER OF ANY SECURITY FOR SALE. OFFERING BY PROSPECTUS ONLY. INFORMATION IN THIS COMMENTARY IS DRAWN FROM VARIOUS SOURCES THAT ARE DEEMED TO BE RELIABLE. HOWEVER, THE INFORMATION IS NOT AUDITED BY DEARBORN CAPITAL. IN ADDITION, DEARBORN CAPITAL DRAWS UPON THIS INFORMATION TO MAKE ITS OWN ASSUMPTIONS WHICH COULD BE CONSIDERED DEARBORN CAPITAL’S OPINION. DEARBORN CAPITAL BELIEVES THAT ANY SUCH STATEMENTS OF OPINION HAVE A REASONABLE BASIS IN FACT.
Performance Chart
Barclays Capital U.S. Long Government Index (formerly Lehman Brothers U.S. Government Index: Long Subset): A benchmark comprised of the Barclays Capital U.S. Treasury and U.S. Agency indices. The U.S. Long Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than ten years) and U.S. agency debentures (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government). The U.S. Government Index is a component of the Barclays Capital U.S. Government Index.
Compounded Annualized Rate of Return (ROR): This is the geometric 12-month mean that assumes the same rate of return for each 12-month period to arrive at the equivalent compound growth rate reflected in the actual return data.
Standard and Poor’s 500 Total Return Index (S&P 500 Index): A weighted index of the 500 stocks in the S&P 500 Index, which are chosen by Standard and Poor’s based on industry representation, liquidity, and stability. The stocks in the S&P 500 Index are not the 500 largest companies; rather the index is designed to capture the returns of many different sectors of the U.S. economy. The total return calculation includes the price-plus-gross cash dividend return.
Risk Metrics Chart
Drawdown: A drawdown is any losing period during an investment’s performance history. It is defined as the percent retrenchment from an equity peak to an equity valley. Maximum drawdown is simply the largest percentage drawdown that has occurred during the specified time frame. Grant Park’s drawdowns are computed based on month-end equity values.
Sharpe Ratio: A return/risk measure defined as the average incremental return of an investment over the risk free rate.
Sortino Ratio: A ratio developed to differentiate between good and bad volatility. The calculation provides a risk-adjusted measure of performance without penalizing for upward price changes.
Standard Deviation: Measures the dispersal or uncertainty in a random variable (in this case, investment returns). It measures the degree of variation of returns around the mean, or average, return. The higher the volatility of the investment returns, the higher the standard deviation will be. For this reason, standard deviation is often used as a measure of investment risk.
ALL PERFORMANCE REPORTED IS NET OF FEES AND EXPENSES. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES A HIGH DEGREE OF RISK AND IS NOT SUITABLE FOR ALL INVESTORS. FUTURES TRADING INVOLVES A HIGH DEGREE OF RISK, INCLUDING LIQUIDITY RISKS, NO SECONDARY MARKET EXISTS, RESTRICTIONS ON REDEMPTIONS, AND THE RISK OF FOREIGN SECURITIES. THIS DOES NOT CONSTITUTE AN OFFER OF ANY SECURITY FOR SALE. OFFERING BY PROSPECTUS ONLY. INFORMATION IN THIS COMMENTARY IS DRAWN FROM VARIOUS SOURCES THAT ARE DEEMED TO BE RELIABLE. HOWEVER, THE INFORMATION IS NOT AUDITED BY DEARBORN CAPITAL. IN ADDITION, DEARBORN CAPITAL DRAWS UPON THIS INFORMATION TO MAKE ITS OWN ASSUMPTIONS WHICH COULD BE CONSIDERED DEARBORN CAPITAL’S OPINION. DEARBORN CAPITAL BELIEVES THAT ANY SUCH STATEMENTS OF OPINION HAVE A REASONABLE BASIS IN FACT.